OBJECTIVE Internalizing mental illness stigma is related to poorer well-being, but less is known about the factors that predict levels of internalized stigma. This study explored how experiences of discrimination relate to greater anticipation of discrimination and devaluation in the future and how anticipation of stigma in turn predicts greater stigma internalization. METHODS Participants were 105 adults with mental illness who self-reported their experiences of discrimination based on their mental illness, their anticipation of discrimination and social devaluation from others in the future, and their level of internalized stigma. Participants were approached in several locations and completed surveys on laptop computers. RESULTS Correlational analyses indicated that more experiences of discrimination due to one's mental illness were related to increased anticipated discrimination in the future, increased anticipated social stigma from others, and greater internalized stigma. Multiple serial mediator analyses showed that the effect of experiences of discrimination on internalized stigma was fully mediated by increased anticipated discrimination and anticipated stigma. CONCLUSIONS Experiences of discrimination over one's lifetime may influence not only how much future discrimination people with mental illness are concerned with but also how much they internalize negative feelings about the self. Mental health professionals may need to address concerns with future discrimination and devaluation in order to decrease internalized stigma.